For Traders

Click the green button to start
performing no-code quant
analysis on this security

S&P 500 Components Liquidity Chart

S&P 500 Sector Liquidity Chart

iShares Core MSCI International Developed Mkt ETF Liquidity Chart

iShares MSCI Emerging Markets ETF Liquidity Chart

Consumer Discretionary Select Sector SPDR Fund Liquidity Chart

Health Care Select Sector SPDR Fund Liquidity Chart

The datasets from which these PYPL forecasts are drawn originate from FactSet. They represent the aggregated estimates made available to academics or practitioners via the Institutional Brokers’ Estimate System (IBES). Although this seems like a fair way of predicting future profits given that they have some level expertise in investment banking, studies show there's still an optimism bias present among these professionals.

Regression-based models suffer from the use of past earnings in a linear or exponential framework. This can lead to bias because these models assume that future performance will mirror historical trends exactly, whereas business cycle dynamics and seasonality may introduce randomness over time periods.

While there is a clear consensus that a factor-based approach to investment is rewarded over time, it goes without saying that the implementation of factor investing strategies, especially in the world of long-only money-management, is rarely subject to the same consensus. Index providers who offer funds that generally contain a small number of stocks in relation to the size and risk level they are designed for, often do so by selecting certain conditions or factors within each company.

For example, some commercial indexes aim at proportionality between price movements and dividends paid out over time while others look exclusively on liquidity considerations alone; yet still more restrict their selection criteria based around corporate governance issues like transparency reports rating various aspects such as soundness levels among others relevant metrics available about any given firm when deciding whether it should be included into an investor’s portfolio.

S&P 500 Components Liquidity Chart

Components

Historical price and liquidity data

Seasonality

This multi-factor forecast for Paypal Holdings (PYPL) is based on a weighted average of five factor-dervied forecasts.

Backtest PYPL

Left-hand side y-axis orders liquidity rank of individuals chart components.
Right-hand side y-axis coordinates measure the price of SPY.

Component Liquidity

Component	Last Value
MMM	-
ABT	-
ABBV	-
ABMD	100.00000
ACN	100.00000
ATVI	100.00000
ADBE	100.00000
AMD	100.00000
AAP	100.00000
AES	100.00000
AFL	100.00000
A	100.00000
APD	100.00000
AKAM	100.00000
ALK	100.00000
ALB	100.00000
ARE	100.00000
ALGN	100.00000
ALLE	100.00000
LNT	98.00000
ALL	98.00000
GOOGL	98.00000
GOOG	98.00000
MO	98.00000
AMZN	98.00000

Component	1 Month Ago	1 Week Ago	Last Value
MMM	0.00000	0.00000	0.00000
ABT	0.00000	0.00000	0.00000
ABBV	0.00000	0.00000	0.00000
ABMD	100.00000	100.00000	100.00000
ACN	100.00000	100.00000	100.00000
ATVI	100.00000	100.00000	100.00000
ADBE	100.00000	100.00000	100.00000
AMD	100.00000	100.00000	100.00000
AAP	100.00000	100.00000	100.00000
AES	100.00000	100.00000	100.00000
AFL	100.00000	100.00000	100.00000
A	100.00000	100.00000	100.00000
APD	100.00000	100.00000	100.00000
AKAM	100.00000	100.00000	100.00000
ALK	100.00000	100.00000	100.00000
ALB	100.00000	100.00000	100.00000
ARE	100.00000	100.00000	100.00000
ALGN	100.00000	100.00000	100.00000
ALLE	100.00000	100.00000	100.00000
LNT	98.00000	100.00000	100.00000
ALL	98.00000	100.00000	100.00000
GOOGL	98.00000	100.00000	100.00000
GOOG	98.00000	100.00000	100.00000
MO	98.00000	100.00000	100.00000
AMZN	98.00000	100.00000	100.00000

All Liquidity Visualizations

About Transactional Liquidity

To paraphrase trader Larry Harris, transactional liquidity in the markets is the ability to trade large order sizes quickly, at low cost and time that is convenient to the trader. Many traders consider liquidity the most important characteristic of well-functioning markets.

As a general observation, low liquidity is accompanied by high volatility in price movements, and vice-versa.

Note that traders who need to perform a more comprehensive analysis can backtest the impact of liquidity on a particular security using the Tradewell platform.

How Liquidity is Calculated

This measure of liquidity displayed on the heat-maps is adapted from Amihud’s illiquidity measure, which is the ratio of absolute close to-close returns to dollar volume (Price * Volume).

This metric is calculated as a the current value ranked over the prior 50 days. A low value indicates high liquidity, while a high value indicates lower liquidity (at the transactional level). In other words, a value that is high implies a large absolute close to close return, but relatively low volume comparatively.
‍
We measure liquidity for each component of a particular index or ETF’s in order to help understand liquidity dynamics underneath the surface.

About Liquidity Heat Map Colors

This liquidity heat map uses a color scale to display the internal liquidity dynamics of S&P 500. The Y-axis is composed of each individual S&P 500 component, which is sorted each and every day by their liquidity rank on that day compared to the other components. This allows us to see visually whether component liquidity was high, normal, or poor. For example, if the liquidity heatmap shows more red, and darker red on a given day, it is more likely that the majority of components are highly illiquid, and vice-versa.

About Liquidity Heat Map Coordinates

The X-axis displays trading days by date, while the Y-axis contains the liquidity rank of each individual security component comprising S&P 500.

About Liquidity Heat Map Coordinates

A price chart of S&P 500 is overlaid on top of the heat map so you can observe the impact that different liquidity regimes may be having on the price of the asset.

S&P 500

The S&P 500 is an index that follows the movement of 500 large companies from stock exchanges in the United States. It is the most referenced benchmark for US equities, and a common indicator of economic health in the United States.

All Liquidity Visualizations

Liquidity

This chart shows the liquidity of individual components of SPY over the last year.

Components

Historical price and seasonality data

AAPL

Guest Commentary

Robson Chow is a hedge fund manager

Thank you for reading... and hope you are enjoying the holidays. The full post can be found here https://t.co/uLKVnqB5ZS
— QuartersPower (@HalfersPower) December 30, 2021

Trending

Health Care Select Sector SPDR Fund

Real Estate Select Sector SPDR Fund

Consumer Staples Select Sector SPDR Fund

Technology Select Sector SPDR Fund

Industrial Select Sector SPDR Fund

Financial Select Sector SPDR Fund

Tradewell is not responsible for the content, data, or information on third-party websites or provided by third-party data providers. We publish links to various external sources and data from various data providers as a convenience, but we cannot verify any claims made by those sites and cannot guarantee that they are safe interpretations of information provided within these pages. If you choose to visit a linked site or consume data, you do so at your own risk and you will be subject to such sites' terms of use and privacy policies, over which Tradewell has no control. Tradewell shall not be liable for any damages incurred by visiting the linked sites or by making decisions or interpreting the data published on webpages or in the Tradewell app.

The information contained on this website is current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed on this website are those of the authors alone - they do not necessarily reflect those held by Tradwell, its affiliates nor employees alike. Investors should be aware that the information expressed in articles is not intended to relate specifically to any product offered by Tradewell. It's being provided for informational purposes only and cannot serve as investment advice or guidance on your individual financial situation.

Any hypothetical performance shown is based on the retrospective application of a model developed with hindsight. While these results are presented for illustrative purposes only, it's important to note that there may be limitations built into any projection.

Certain articles may have been written prior to the author being an employee or contractor of Tradewell. The views expressed on the website are those of the authors and not necessarily those of Tradewell. Published material is intended for informational purposes only and should not be construed as legal or tax advice, nor is it intended to replace the advice of a qualified attorney or tax advisor.